quadprog.solve.QP: Quick Quadratic Programming Solver.

In fnoorian/quadprogpp: Quick Quadratic Programming Solver in C++

Quick Quadratic Programming Solver.

Description

quadprog.solve.QP solves a quadratic programming in form of \min(-d^T b + 1/2 b^T D b) with the constraints A^T b \ge b_0.

Usage

quadprog.solve.QP(Dmat, dvec, Amat, bvec, meq=0, factorized=FALSE)

Arguments

Dmat	matrix appearing in the quadratic function to be minimized.
dvec	vector appearing in the quadratic function to be minimized.
Amat	matrix defining the constraints under which we want to minimize the quadratic function.
bvec	vector holding the values of b_0 (defaults to zero).
meq	the first meq constraints are treated as equality constraints, all further as inequality constraints (defaults to 0).
factorized	Not implemented. Must be set to false.

Details

This function is a thin wrapper around QP.Solve, for compatibility with quadprog package.

Value

a list with the following components:

solution	vector containing the solution of the quadratic programming problem.
value	not implemented. Contains NULL.
unconstrained.solution	not implemented. Contains NULL.
iterations	not implemented. Contains NULL.
Lagrangian	not implemented. Contains NULL.
iact	not implemented. Contains NULL.

References

quadprog: Functions to solve Quadratic Programming Problems. R package version 1.5-5. http://CRAN.R-project.org/package=quadprog

See Also

quadprog package, QP.Solve

fnoorian/quadprogpp documentation built on Aug. 21, 2024, 2:02 a.m.